Hedge Funds

Balanced Mandates

Fixed Income hedge funds

The objective of the strategy Fixed Income Relative Value is to generate attractive absolute returns by investing in global fixed income markets – primarily in Scandinavia and Europe – and creating alpha mainly via relative value and convergence strategies. The performance target for the strategy is the risk-free rate + 5-7%. The risk limit is defined as 3% VaR measured at a 95% risk level (weekly).

The objective of the strategy Fixed Income Strategies is to generate attractive absolute returns by investing in primarily the Scandinavian and European fixed income markets. Value is mainly created through relative value and convergence strategies. The performance target for the product is the risk-free rate + 3-5%. Risk is limited to 125% of that on a 10-year Danish government bond measured by VaR.

The objective of the strategy Mortgage Arbitrage is to generate attractive absolute returns by investing primarily in Danish mortgage bonds. Value is created through the fund’s strategy of capitalising on the recurring minor imbalances that arise in the pricing of various bonds and fixed income products, such as futures and swaps. The performance target for the strategy is the risk-free rate + 3-5%.

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